An introduction to wavelet theory in finance. A wavelet multiscale approach.

DOI10.1142/8431MaRDI QIDQ4649463zbMATH OpenOpenAlexFDO

Authors Francis In, Sang-Bae Kim

Publication date 22 November 2012

Full work available at URL https://doi.org/10.1142/8431

zbMATH Keywords

Fourier transformeconometricsfinancewavelet transformstock returnswavelet theoryLIBORwavelet multiscaling method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Financial applications of other theories (91G80) Mathematics for nonmathematicians (engineering, social sciences, etc.) (00A06) Applications to the sciences (65Z99)

Recommendations

• An introduction to wavelets and other filtering methods in finance and economics
• The illustrated wavelet transform handbook. Introductory theory and applications in science, engineering, medicine and finance
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• The illustrated wavelet transform handbook. Introductory theory and applications in science, engineering, medicine and finance
• Wavelet analysis. Basic concepts and applications

Cited in

(14)

• Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective
• Wavelet-based prediction of oil prices
• The Fractal Nature of Bitcoin: Evidence from Wavelet Power Spectra
• Wavelets in Economics and Finance: Past and Future
• The windowed scalogram difference: a novel wavelet tool for comparing time series
• An introduction to wavelets and other filtering methods in finance and economics
• Discrete wavelet transforms in Walsh analysis
• Definition of basic numerical patterns in the ranks of the hryvnia to the US dollar and Russian ruble against the US dollar based on the wavelet transform
• Macro-financial dynamics: theories, empirical methods, and time scales
• Wavelet applications in economics and finance
• A parallel wavelet-based pricing procedure for Asian options
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
• Wavelet multidimensional scaling analysis of European economic sentiment indicators
• Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus

Describes a project that uses

Uses Software

• Matlab

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